ah, dont tighten the filter cap to the 25m or 18lb ft.
apparently when you do so you damage it and it begins to leak, as mine did, nice and hand tight, like a regular oil filter, then start her up and check for leaks.

the lil copper gasket in the filter, is for the drain plug, (i didnt know, so im telling you) and definately replace the 0 ring rubber gasket on the filter cap.

If you're just beginning this I would HIGHLY recommend getting a Bentley Service Manual for your year / model vehicle, worth every penny and then some. They can be had for about $75 from Amazon or other online retailers.
Next I would get a torque wrench if you don't already have one, you don't have to shell out for a Snap-On but at least something like a Craftsman covering the 20 - 75 ft lb range (apx). I have 4 torque wrenches in my tool boxes right now covering several smaller ranges. All it would take is stripping the drain plug in the oil pan once and you've just paid for 3 very expensive torque wrenches!
As for oil, due to EPA and fuel mileage requirements BMW recommends 5w30 I believe, personally I would go with either 5w40 or 0w40 depending on your climate. If you get lots of below freezing weather I would go with the 0w40 but if you live in So. Texas I would definitely go with the 5w40 (or higher).
Have fun.

I'm running bmw/castrol 5w30 now, previous owner ran mobil1 5w30, but on my next oil change I'm going 5w40 since it gets a little warm down here in va, I'm hoping to switch back to mobil1 if I can get my hookup on them.

+1 on the torque wrench. I bought a cheap on for like $30. Seems to work fine.

I'm about to embark on my DIY future, beginning with changing my oil. Looking for any tips or suggestions you guys may have including which oil to go with. I have an E46 w/80k.

Oil is an interesting topic. If BMW says you need oil that is rated BMW LL 01 and / or ACEA A3 rated (due to long oil change intervals), you need to be a bit more careful what you put in there. Mobil1 0W40 carries these 2 ratings (and is fully synthetic) as does the German made Castrol. You have to be careful on the Castrol Syntec, though as most of the stuff on the shelves in the US is not German made and does not carry these certifications. If you check the back of the bottle on the Castrol and it says Made in Germany you're OK. And Mobil1 in other weights does not carry these certifications either. I picked up German Castrol at AutoZone, and Mobil1 in the 0W40 is carried at most WalMart stores. Of course you can always get certified BMW oil at the dealer.

I wouldn't be too concerned about the BMW LL certification UNLESS you intend to go by the car's computer on when to change your oil (personally I wouldn't wait that long). The computer will have you wait up to 2 yrs. or 20K mi. between changes (depending on driving habits) and I will never go that long between changes. I am very comfortable at 12 mos. / 10K mi. between changes and most all the HIGH QUALITY synthetics will handle that work load. If you want to be certain there are several oil analysis services that will give you a full report on the condition of your used oil for a small fee, well worth the investment.

I've always used Mobil1 5W30 in my previous cars and changed oil at 7500 Mi intervals. Engines with 100K+ miles always looked new when looking into the valve train through the oil filler. No sludge or buildup on the non-moving parts. And even at that mileage, drained oil was a dark amber color and reasonably clear - not the thick black goo I see from other cars. I swear by Mobil1, even though BMW recommends Castrol.

If you have an E46 you will probably want it up off the ground a few inches. An easy way to do this is to have several 2 X 10 planks of different lengths. If you're good you can drive up onto them, just be sure not to overshoot or you may damage the expensive plastic lower front faring. You can also jack up the front end and slide the planks under both front wheels, then set the car down. This is safest and you then wouldn't need jack stands. Clearly, don't forget to put the car in gear and set the emergency brake.

Oil? I like Shell Rotella-T 5W-40 Synthetic, changed every 5,000 to 7,500 miles. I use either a WIX, NAPA Gold, or a BMW filter kit.

P.S. Steel ramps won't usually work. You will hit the faring before the wheel makes contact with the ramp.

I wouldn't be too concerned about the BMW LL certification UNLESS you intend to go by the car's computer on when to change your oil (personally I wouldn't wait that long). The computer will have you wait up to 2 yrs. or 20K mi. between changes (depending on driving habits) and I will never go that long between changes. I am very comfortable at 12 mos. / 10K mi. between changes and most all the HIGH QUALITY synthetics will handle that work load. If you want to be certain there are several oil analysis services that will give you a full report on the condition of your used oil for a small fee, well worth the investment.

Not particularly good at putting pictures on the internet but if all goes well you will be able to see my '02 330ci valvetrain at 117,000 miles, at valve cover replacement time. 5,000 mile oil changes with BMW filters. The car gets hammered every time it is driven.

az3579 thanks for fixing that link! Never have been very good at that sort of thing! Anyway, the oil in the picture has 6,0000 miles on it as I waited to do the valve cover gasket job before changing the oil - she ran a little over her normal interval of 5k.

The fact that German Castrol is easily obtainable at AutoZone and is as good as BMW's synthetic oil makes it all the better for me as the drive to the dealer is more than I'd like to put into the project - the AZ is right around the corner!!

That is an old picture from when Sabine Schmitz was racing for Vodafone, or something along those lines. The far left is Sabine, next to her is Christine Sauer ( I think) and I can't recall the name of the third girl. You know what they say; Three Queens makes a full house!
Cheers